Sweden's chief prosecutor on security issues, Tomas Lindstrand, "has decided to launch a preliminary investigation of illegal intelligence activities. The probe regards American actions to protect the US mission in Stockholm and American personnel," his office said in a statement.
The announcement came two days after Swedish Justice Minister Beatrice Ask announced that the US embassy in Stockholm had secretly spied on Swedish residents in the capital since 2000.
Similar allegations surfaced in Oslo and Copenhagen last week, and in all three countries, national officials insisted they had not been informed of the surveillance activities, which extended to monitoring demonstrations and storing personal information about protestors.
Norway's chief prosecutor has also asked police there to investigate the embassy's actions.
The US missions in Sweden and Norway have issued statements insisting their actions are part of common protection procedures.
"The Embassy’s Surveillance Detection Unit is exactly what its title states: a program designed to detect surveillance against US posts overseas. It is not a secret program, nor is it an intelligence program," the embassy in Stockholm said Saturday.
If surveillance was carried out without authorisation from the host countries however, experts in the region insist it constitutes a violation of national laws.
Justice Minister Ask said Saturday she understood "that countries under high threat take measures to reduce the risk of attacks.
"But these measures must fall within the framework of Swedish law," and Swedish authorities must be informed, she said, adding that it remained unclear if the US embassy surveillance was illegal or not.
With his investigation, Lindstrand aims to determine "on one hand, if a crime has been committed, and on the other who has committed the crime, if it has been committed," Monday's statement said.
Lindstrand will conduct the probe with the assistance of the Säpo security police, his office said, adding that the case was classified and no further information would be released for the time being.